Why? When you use the windlass the engine should be running... and it is kicking out all the amps the windlass is drawing down... Then, typically, you motor away to raise your main etc. and maybe follow a channel to where you can sail.I suppose it makes sense in that the windlass can produce short, high amp loads like the starter does and your start battery is better suited to that application than the deep cycle batteries in your house bank.
Sure you can sail off your anchor and have no need to use the engine. But if you have one... why not? When you do you get some "hot water" as a side benefit.